State Street (Germany) Market Value
| ZYA Stock | EUR 94.95 0.45 0.47% |
| Symbol | State |
State Street 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to State Street's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of State Street.
| 12/29/2022 |
| 12/18/2024 |
If you would invest 0.00 in State Street on December 29, 2022 and sell it all today you would earn a total of 0.00 from holding State Street or generate 0.0% return on investment in State Street over 720 days. State Street is related to or competes with CVS Health, American Eagle, EHEALTH, GUARDANT HEALTH, ONWARD MEDICAL, Bausch Health, and Merit Medical. State Street Corporation, through its subsidiaries, provides a range of financial products and services to institutional... More
State Street Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure State Street's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess State Street upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8613 | |||
| Information Ratio | 0.2348 | |||
| Maximum Drawdown | 7.14 | |||
| Value At Risk | (1.52) | |||
| Potential Upside | 2.05 |
State Street Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for State Street's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as State Street's standard deviation. In reality, there are many statistical measures that can use State Street historical prices to predict the future State Street's volatility.| Risk Adjusted Performance | 0.2153 | |||
| Jensen Alpha | 0.2982 | |||
| Total Risk Alpha | 0.2427 | |||
| Sortino Ratio | 0.325 | |||
| Treynor Ratio | 0.4941 |
State Street Backtested Returns
State Street appears to be very steady, given 3 months investment horizon. State Street owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.26, which indicates the firm had a 0.26% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for State Street, which you can use to evaluate the volatility of the company. Please review State Street's Risk Adjusted Performance of 0.2153, coefficient of variation of 342.94, and Semi Deviation of 0.469 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, State Street holds a performance score of 20. The entity has a beta of 0.68, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, State Street's returns are expected to increase less than the market. However, during the bear market, the loss of holding State Street is expected to be smaller as well. Please check State Street's coefficient of variation, sortino ratio, potential upside, as well as the relationship between the jensen alpha and maximum drawdown , to make a quick decision on whether State Street's existing price patterns will revert.
Auto-correlation | -0.38 |
Poor reverse predictability
State Street has poor reverse predictability. Overlapping area represents the amount of predictability between State Street time series from 29th of December 2022 to 24th of December 2023 and 24th of December 2023 to 18th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of State Street price movement. The serial correlation of -0.38 indicates that just about 38.0% of current State Street price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | -0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 79.63 |
State Street lagged returns against current returns
Autocorrelation, which is State Street stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting State Street's stock expected returns. We can calculate the autocorrelation of State Street returns to help us make a trade decision. For example, suppose you find that State Street has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
State Street regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If State Street stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if State Street stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in State Street stock over time.
Current vs Lagged Prices |
| Timeline |
State Street Lagged Returns
When evaluating State Street's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of State Street stock have on its future price. State Street autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, State Street autocorrelation shows the relationship between State Street stock current value and its past values and can show if there is a momentum factor associated with investing in State Street.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in State Stock
State Street financial ratios help investors to determine whether State Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in State with respect to the benefits of owning State Street security.